We investigate the relationship between firm efficiency and stock returns during the COVID-19 pandemic. We find that highly efficient firms experienced at least 9.44 percentage points higher cumulative returns during the market collapse. A long-short portfolio consisting of efficient and inefficient firms would have also yielded a significantly positive weekly return of 3.53% on average. Overall, our results show that firm efficiency has significant explanatory power for stock returns during the crisis period.

中文翻译：

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COVID-19 危机期间的公司效率和股票回报

我们研究了 COVID-19 大流行期间公司效率与股票回报之间的关系。我们发现，在市场崩溃期间，高效企业的累计回报率至少高出 9.44 个百分点。由高效和低效公司组成的多空投资组合也会产生平均 3.53% 的显着正周回报。总体而言，我们的结果表明，企业效率对危机期间的股票回报具有显着的解释力。